Just solder the led back on...
I'm guessing you're doing the no chip rapidfire? In which case, you're only supposed to solder to the one side of the led, not both. It shouldn't have fallen off.
I suggest buying a chip, though. They're much better and actually work.
Regardless, even if you can't solder it back on (The correct way, mind you. If it doesn't light, flip it around and solder it the opposite way) then your controller will still work perfectly fine, you just won't have the led.